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PostPosted: Tue Jun 10, 2014 12:32 pm 
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Joined: Fri May 06, 2005 1:40 am
Posts: 520
Hello,
The new CSI Data Unfair Advantage plugin version 2.1.0.7 has been released, expect to see it shortly in an upcoming OpenQuant release.

The plugin will import historical data for any Instruments you have setup manually, and also supports all the CSI API adjustment options now. The only rule for future symbols is to use a space " " instead of an underscore "_". For example the symbol "LC 2015V" instead of Unfair Advantage "LC_2015V" for CSI #2 Symbol LC, Cattle-Live-(Floor+Electronic Combined)-CME October 2015 contract.

On the down side this version still does not support Instrument Import - it was always a hack work around to interface OpenQuant API to the CSI Data API. 9 years ago I wrote a separate scanner/instrument import system just to support CSI, but that code is now very out of date. It may make a come back in OQ2014, we will see.


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PostPosted: Thu Aug 21, 2014 2:05 pm 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 204
Hi,

I have noted that since OpenQuant version 3.13 the CSI scanner seems to be implemented.

I used to access CSI data with: "using QuantScanner;" but that does not seem to work with the latest version of OpenQuant. The QuantScanner.dll seems to have been removed out of the/framework/bin directory. Can you point me into the right direction on how to use the new CSI data plug-in? For example how can I implement certain events like:
IQuantScanner csiScanner = (IQuantScanner)sender;
csiScanner.NewScanInstrument += new NewScanInstrumentEventHandler(csi_NewScanInstrument)
csiScanner.ScanListRequestProgress += new System.ComponentModel.ProgressChangedEventHandler(csi_ScanListRequestProgress);
csiScanner.ScanListRequestFinished += new ScanRequestFinishedEventHandler(csi_ScanListRequestFinished);

Thanks and regards
Mike


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PostPosted: Thu Aug 21, 2014 2:44 pm 
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Joined: Fri May 06, 2005 1:40 am
Posts: 520
Hello Mike,
I am the author of the CSI plugin. Unfortunately the QuantScanner dll had to be removed due to incompatibilities with the old OpenQuant framework causing errors for users under certain conditions (see other CSI related posts in this forum for details). Here are my changelog comments:

Code:
    ///        <term>2.1.0.7 (Friday, 6th June 2014)</term>
    ///        <description>
    ///        - Fixed miscellaneous bugs (Ref.error.report #642)
    ///        - Updated Assembly Info.
    ///        - Added proportional stock price and volume adjustment options
    ///        - Added some future adjustment options
    ///        - Removed QuantScanner and IInstrumentProvider interface due to the following OpenQuant API/GUI limitations:
    ///             - OQ InstrumentDefinitions Dialogs cannot correctly cancel process of IInstrumentProvider, and vice versa.
    ///             - OQ does not handle InstrumentDefinition Progress and Finished events correctly:
    ///                 Current design requires data provider to know how many instruments it will receive and specify this amount in
    ///                 securityDefinition.TotNoRelatedSym *before* the upstream data provider sends them. This is limitation creates
    ///                 a lot of unnecessary complexity.
    ///        </description>


The QuantScanner.dll for OpenQuant data was always a hack work-around these and other limitations, in particular CSI data provider caused problems due to the vast amount of Instruments you could import and scan compared to the typical data provider in OQ. Too many for OQ to handle through the traditional means/APIs.

The SmartQuant team are aware of these issues and I am waiting on their go-ahead to port all the original QuantScanner and new functionality over to the new OpenQuant 2014 framework so users can continue to scan through all North American stocks and commodities nightly for next day trading setups.

Cheers,
Keith


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PostPosted: Tue Feb 07, 2017 9:24 am 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 204
Dear Keith,

is there an update to this?

Is there a release for the CSI provider for OQ2014? Is CSI / Unfair advantage supported yet?

Regards
Mike


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PostPosted: Tue Feb 07, 2017 12:45 pm 
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Joined: Fri May 06, 2005 1:40 am
Posts: 520
Hi Mike,
Unfortunately not yet. I haven't checked back with the team in quite a while on the open ended searches returning unknown number of instruments... been pretty busy. Thanks for the reminder I'll check with them now.


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PostPosted: Wed Apr 19, 2017 11:41 pm 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 204
any feedback?

Thx
Mike


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PostPosted: Fri May 12, 2017 10:14 pm 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 204
any update?

Would you mind sharing the source and I get a dev to look into that?

Or will you follow up with the OQ team for implementing within OQ2014?

Regards
Mike


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PostPosted: Sat May 13, 2017 9:41 pm 
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Joined: Fri May 06, 2005 1:40 am
Posts: 520
Hi Mike I really am sorry for the slow reply. I PM'd and emailed Anton/Alexei a few times now then forgot about the topic while waiting for a reply, but no reply so far since our last interaction Feb 07. I just checked the forums I suspect a reason I may not have got a reply so far is because OQ *2014* appears to be getting old now and it looks like the SQ team that is Anton and Alexei might be moving in new direction(s). They have defiantly scaled back their interactions here in the forum, Alexei has not posted in a long time and Anton is also posting a lot less frequently - usually a sign something is about to change. All speculation on my part, but I have seen similar moves and products retired in my time here since 2005: QuantStudio, QuantDeveloper, CATS, VisualQuant... all now long gone as new directions were explored.

I am happy to update CSI data provider for OQ2014, but the last time I checked with the SQ team there was no documentation for OQ2014 and I mainly needed to know that it can handle the massive instrument lists that CSI data returns before I even bother spending precious time trying to port the code over. After reviewing the forum today however my thinking is that If OQ2014/SmartQuant the company is really just running on autopilot then it may not worth doing it anyway - hence the lack of interest from the SQ team in a Commodity Systems Inc data provider - a pretty mainstay data provider for future traders especially. The rise of some high quality open source trading frameworks may be putting pressure on the user base - times have changed. I hope SmartQuant can re-invent itself, it used to be the most innovative product on the market, a reason why Societe Generale QuantHouse bought out their IP, killing the QuantDeveloper development line in the process much to the dismay of many of the original users I used to know around here.

I maintain and use CSI Data plugin everyday on a modified QuantDeveloper source code version, which was very similar to the last OpenQuant framework. This inside knowledge of the framework source code allowed me to contribute a few important bug fixes at the time, build a few non standard data and execution providers plus do things like hack a work around to make my QuantScanner project work with CSI data open ended instrument searches. However as the "new" OQ framework diverged from QuantDeveloper source it became harder and harder to maintain eventually forcing me to dumb down the CSI Data provider for OQ. How similar the QD code is to OQ2014 I do not know but I doubt I could pull off another hack work around if the framework does not support the needs of truly massive instrument list searches that CSI Data provides. Another similar hack work around I did on the QD code allowed daily scanning of thousands of instruments from multiple data sources including CSI Data looking for trade setups, but that also was not possible to port to OQ unfortunately. Lately I have developed some cryptocurrency providers but that is a whole new story...

I guess lets wait and see what happens.
Regards,
Keith

Reproduced email to SQ team below:

Quote:
...about updating CSI Data for the latest OQ. Just checking in to see if
OQ Instrument import/searching can handle open ended lists of
instruments? From previous email:

"The main problem is that CSI contains tens of thousands of data series
which need to be matched to instruments, and most searches are open
ended with no way to estimate how many results will be returned. The OQ
interface would just lock up whenever users tried to use it to
search/automatically add instruments. I hacked around it with
QuantScanner but in the end it was just too fragile to maintain and
required users knowing that they had to use my "QuantScanner" hack work
around program to make it work and not go via the standard OQ interface. "

/// - Removed QuantScanner and IInstrumentProvider interface
due to the following OpenQuant API/GUI limitations:
/// - OQ InstrumentDefinitions Dialogs cannot correctly
cancel process of IInstrumentProvider, and vice versa.
/// - OQ does not handle InstrumentDefinition Progress
and Finished events correctly:
/// Current design requires data provider to know
how many instruments it will receive and specify this amount in
/// securityDefinition.TotNoRelatedSym *before* the
upstream data provider sends them. This is limitation creates
/// a lot of unnecessary complexity.


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PostPosted: Tue May 23, 2017 4:45 pm 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 204
Dear Keith,

thanks for your detailed response and your views.

I agree with your conclusion that focus is away from this forum. Response times have increased dramatically.

Yes, I hope they reinvent themselves, since at least, it is a proven framework -where most of the debugging has taken place.

We will see what the future brings and hopefully get an update from the team.
Mike


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PostPosted: Mon Oct 23, 2017 12:13 am 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 204
Dear Keith,

do you happen to have an example code how to pull futures data with the CSI plugin?

I got it working with stocks, but not with futures somehow.

I still have an OQ version that works with CSI...

Thanks in advance
Mike


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